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   "source": [
    "# The Indicator Zoo"
   ]
  },
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   "source": [
    "Source: \n",
    "\n",
    "Green, Jeremiah and Hand, John R. M. and Zhang, Frank, [The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2262374), The Review of Financial Studies, Volume 30, Issue 12, December 2017, Pages 4389–4436"
   ]
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   "source": [
    "In his 2011 American Finance Association Presidential address, John H. Cochrane (2011) challenged researchers to identify the firm characteristics that provide independent information about average U.S. stock returns. \n",
    "\n",
    "Cochrane issued his challenge because of the “veritable zoo” of hundreds of characteristics that have been presented as statistically significant predictors of the cross-section of returns in the anomalies literature since 1970."
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    "| Acronym    | Author(s)                           | Date, Journal | Definition of the characteristic-based anomaly variable                                                                                                                                                                                                                                 |\n",
    "|------------|-------------------------------------|---------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|\n",
    "| acc        | Sloan                               | 1996, TAR     | Annual income before extraordinary items (ib) minus operating cash flows (oancf) divided by average total assets (at); if oancf is missing then set to change in act - change in che - change in lct++ change in dlc++ change in txp-dp                                                 |\n",
    "| aeavol     | Lerman, Livnat, and Mendenhall      | 2008, WP      | Average daily trading volume (vol) for 3 days around earnings announcement minus average daily volume for 1-month ending 2 weeks before earnings announcement divided by 1-month average daily volume. Earnings announcement day from Compustat quarterly (rdq)                         |\n",
    "| age        | Jiang, Lee, and Zhang               | 2005, RAS     | Number of years since first Compustat coverage                                                                                                                                                                                                                                          |\n",
    "| agr        | Cooper, Gulen, and Schill           | 2008, JF      | Annual percent change in total assets (at)                                                                                                                                                                                                                                              |\n",
    "| baspread   | Amihud and Mendelson                | 1989, JF      | Monthly average of daily bid-ask spread divided by average of daily spread                                                                                                                                                                                                              |\n",
    "| beta       | Fama and MacBeth                    | 1973, JPE     | Estimated market beta from weekly returns and equal weighted market returns for 3 years ending month tt-1 with at least 52 weeks of returns                                                                                                                                             |\n",
    "| bm         | Rosenberg, Reid, and Lanstein       | 1985, JPM     | Book value of equity (ceq) divided by end of fiscal year-end market capitalization                                                                                                                                                                                                      |\n",
    "| bm_ia      | Asness, Porter, and Stevens         | 2000, WP      | Industry adjusted book-to-market ratio                                                                                                                                                                                                                                                  |\n",
    "| cash       | Palazzo                             | 2012, JFE     | Cash and cash equivalents divided by average total assets                                                                                                                                                                                                                               |\n",
    "| cashdebt   | Ou and Penman                       | 1989, JAE     | Earnings before depreciation and extraordinary items (ib++dp) divided by avg. total liabilities (lt)                                                                                                                                                                                    |\n",
    "| cashpr     | Chandrashekar and Rao               | 2009, WP      | Fiscal year-end market capitalization plus long-term debt (dltt) minus total assets (at) divided by cash and equivalents (che)                                                                                                                                                          |\n",
    "| cfp        | Desai, Rajgopal, and Venkatachalam  | 2004, TAR     | Operating cash flows divided by fiscal-year-end market capitalization                                                                                                                                                                                                                   |\n",
    "| cfp_ia     | Asness, Porter and Stevens          | 2000, WP      | Industry adjusted cfp                                                                                                                                                                                                                                                                   |\n",
    "| chatoia    | Soliman                             | 2008, TAR     | 2-digit SIC - fiscal-year mean-adjusted change in sales (sale) divided by average total assets (at)                                                                                                                                                                                     |\n",
    "| chcsho     | Pontiff and Woodgate                | 2008, JF      | Annual percent change in shares outstanding (csho)                                                                                                                                                                                                                                      |\n",
    "| chempia    | Asness, Porter, and Stevens         | 1994, WP      | Industry-adjusted change in number of employees                                                                                                                                                                                                                                         |\n",
    "| chfeps     | Hawkins, Chamberlin, and Daniel     | 1984, FAJ     | Mean analyst forecast in month prior to fiscal period end date from I/B/E/S summary file minus same mean forecast for prior fiscal period using annual earnings forecasts                                                                                                               |\n",
    "| chinv      | Thomas and Zhang                    | 2002, RAS     | Change in inventory (inv) scaled by average total assets (at)                                                                                                                                                                                                                           |\n",
    "| chmom      | Gettleman and Marks                 | 2006, WP      | Cumulative returns from months tt-6 to tt-1 minus months tt-12 to tt-7                                                                                                                                                                                                                  |\n",
    "| chpmia     | Soliman                             | 2008, TAR     | 2-digit SIC - fiscal-year mean adjusted change in income before extraordinary items (ib) divided by sales (sale)                                                                                                                                                                        |\n",
    "| chtx       | Thomas and Zhang                    | 2011, JAR     | Percent change in total taxes (txtq) from quartertt-4 to tt                                                                                                                                                                                                                             |\n",
    "| cinvest    | Titman, Wei, and Xie                | 2004, JFQA    | Change over one quarter in net PP&E (ppentq) divided by sales (saleq) - average of this variable for prior 3 quarters; if saleq== 0, then scale by 0.01                                                                                                                                 |\n",
    "| convind    | Valta                               | 2016, JFQA    | An indicator equal to 1 if company has convertible debt obligations                                                                                                                                                                                                                     |\n",
    "| currat     | Ou and Penman                       | 1989, JAE     | Current assets / current liabilities                                                                                                                                                                                                                                                    |\n",
    "| depr       | Holthausen and Larcker              | 1992, JAE     | Depreciation divided by PP&E                                                                                                                                                                                                                                                            |\n",
    "| disp       | Diether, Malloy, and Scherbina      | 2002, JF      | Standard deviation of analyst forecasts in month prior to fiscal period end date divided by the absolute value of the mean forecast; if meanest== 0, then scalar set to 1. Forecast data from I/B/E/S summary files                                                                     |\n",
    "| divi       | Michaely, Thaler, and Womack        | 1995, JF      | An indicator variable equal to 1 if company pays dividends but did not in prior year                                                                                                                                                                                                    |\n",
    "| dolvol     | Chordia, Subrahmanyam, and Anshuman | 2001, JFE     | Natural log of trading volume times price per share from month tt-2                                                                                                                                                                                                                     |\n",
    "| dy         | Litzenberger and Ramaswamy          | 1982, JF      | Total dividends (dvt) divided by market capitalization at fiscal year-end                                                                                                                                                                                                               |\n",
    "| ear        | Kishore et al.                      | 2008, WP      | Sum of daily returns in three days around earnings announcement. Earnings announcement from Compustat quarterly file (rdq)                                                                                                                                                              |\n",
    "| egr        | Richardson et al.                   | 2005, JAE     | Annual percent change in book value of equity (ceq)                                                                                                                                                                                                                                     |\n",
    "| ep         | Basu                                | 1977, JF      | Annual income before extraordinary items (ib) divided by end of fiscal year market cap                                                                                                                                                                                                  |\n",
    "| fgr5yr     | Bauman and Dowen                    | 1988, FAJ     | Most recently available analyst forecasted 5-year growth                                                                                                                                                                                                                                |\n",
    "| gma        | Novy-Marx                           | 2013, JFE     | Revenues (revt) minus cost of goods sold (cogs) divided by lagged total assets (at)                                                                                                                                                                                                     |\n",
    "| grCAPX     | Anderson and Garcia-Feijoo          | 2006, JF      | Percent change in capital expenditures from yeartt-2 to year tt                                                                                                                                                                                                                         |\n",
    "| grltnoa    | Fairfield, Whisenant, and Yohn      | 2003, TAR     | Growth in long-term net operating assets                                                                                                                                                                                                                                                |\n",
    "| herf       | Hou and Robinson                    | 2006, JF      | 2-digit SIC - fiscal-year sales concentration (sum of squared percent of sales in industry for each company).                                                                                                                                                                           |\n",
    "| hire       | Bazdresch, Belo, and Lin            | 2014, JPE     | Percent change in number of employees (emp)                                                                                                                                                                                                                                             |\n",
    "| idiovol    | Ali, Hwang, and Trombley            | 2003, JFE     | Standard deviation of residuals of weekly returns on weekly equal weighted market returns for 3 years prior to month end                                                                                                                                                                |\n",
    "| ill        | Amihud                              | 2002, JFM     | Average of daily (absolute return / dollar volume).                                                                                                                                                                                                                                     |\n",
    "| indmom     | Moskowitz and Grinblatt             | 1999, JF      | Equal weighted average industry 12-month returns                                                                                                                                                                                                                                        |\n",
    "| invest     | Chen and Zhang                      | 2010, JF      | Annual change in gross property, plant, and equipment (ppegt) ++ annual change in inventories (invt) all scaled by lagged total assets (at)                                                                                                                                             |\n",
    "| IPO        | Loughran and Ritter                 | 1995, JF      | An indicator variable equal to 1 if first year available on CRSP monthly stock file                                                                                                                                                                                                     |\n",
    "| lev        | Bhandari                            | 1988, JF      | Total liabilities (lt) divided by fiscal year-end market capitalization                                                                                                                                                                                                                 |\n",
    "| lgr        | Richardson et al.                   | 2005, JAE     | Annual percent change in total liabilities (lt)                                                                                                                                                                                                                                         |\n",
    "| maxret     | Bali, Cakici, and Whitelaw          | 2011, JFE     | Maximum daily return from returns during calendar monthtt-1                                                                                                                                                                                                                             |\n",
    "| mom12m     | Jegadeesh                           | 1990, JF      | 11-month cumulative returns ending one month before month end                                                                                                                                                                                                                           |\n",
    "| mom1m      | Jegadeesh and Titman                | 1993, JF      | 1-month cumulative return                                                                                                                                                                                                                                                               |\n",
    "| mom36m     | Jegadeesh and Titman                | 1993, JF      | Cumulative returns from monthstt-36 to tt-13                                                                                                                                                                                                                                            |\n",
    "| ms         | Mohanram                            | 2005, RAS     | Sum of 8 indicator variables for fundamental performance                                                                                                                                                                                                                                |\n",
    "| mve        | Banz                                | 1981, JFE     | Natural log of market capitalization at end of month tt-1                                                                                                                                                                                                                               |\n",
    "| mve_ia     | Asness, Porter, and Stevens         | 2000, WP      | 2-digit SIC industry-adjusted fiscal year-end market capitalization                                                                                                                                                                                                                     |\n",
    "| nanalyst   | Elgers, Lo, and Pfeiffer            | 2001, TAR     | Number of analyst forecasts from most recently available I/B/E/S summary files in month prior to month of portfolio formation. nanalyst set to zero if not covered in I/B/E/S summary file                                                                                              |\n",
    "| nincr      | Barth, Elliott, and Finn            | 1999, JAR     | Number of consecutive quarters (up to eight quarters) with an increase in earnings (ibq) over same quarter in the prior year                                                                                                                                                            |\n",
    "| operprof   | Fama and French                     | 2015, JFE     | Revenue minus cost of goods sold - SG&A expense - interest expense divided by lagged common shareholders’ equity                                                                                                                                                                        |\n",
    "| orgcap     | Eisfeldt and Papanikolaou           | 2013, JF      | Capitalized SG&A expenses                                                                                                                                                                                                                                                               |\n",
    "| pchcapx_ia | Abarbanell and Bushee               | 1998, TAR     | 2-digit SIC - fiscal-year mean-adjusted percent change in capital expenditures (capx)                                                                                                                                                                                                   |\n",
    "| pctacc     | Hafzalla, Lundholm, and Van Winkle  | 2011, TAR     | Same as acc except that the numerator is divided by the absolute value of ib; if ib== 0 then ib set to 0.01 for denominator                                                                                                                                                             |\n",
    "| pricedelay | Hou & Moskowitz                     | 2005, RFS     | The proportion of variation in weekly returns for 36 months ending in monthtt explained by 4 lags of weekly market returns incremental to contemporaneous market return                                                                                                                 |\n",
    "| quick      | Ou and Penman                       | 1989, JAE     | (current assets - inventory) / current liabilities                                                                                                                                                                                                                                      |\n",
    "| rd         | Eberhart, Maxwell, and Siddique     | 2004, JF      | An indicator variable equal to 1 if R&D expense as a percentage of total assets has an increase greater than 5%.                                                                                                                                                                        |\n",
    "| rd_mve     | Guo, Lev, and Shi                   | 2006, JBFA    | R&D expense divided by end-of-fiscal-year market capitalization                                                                                                                                                                                                                         |\n",
    "| realestate | Tuzel                               | 2010, RFS     | Buildings and capitalized leases divided by gross PP&E                                                                                                                                                                                                                                  |\n",
    "| retvol     | Ang et al.                          | 2006, JF      | Standard deviation of daily returns from month tt-1                                                                                                                                                                                                                                     |\n",
    "| roaq       | Balakrishnan, Bartov, and Faurel    | 2010, JAE     | Income before extraordinary items (ibq) divided by one quarter lagged total assets (atq)                                                                                                                                                                                                |\n",
    "| roavol     | Francis et al.                      | 2004, TAR     | Standard deviation for 16 quarters of income before extraordinary items (ibq) divided by average total assets (atq)                                                                                                                                                                     |\n",
    "| roeq       | Hou, Xue, and Zhang                 | 2015 RFS      | Earnings before extraordinary items divided by lagged common shareholders’ equity                                                                                                                                                                                                       |\n",
    "| roic       | Brown and Rowe                      | 2007, WP      | Annual earnings before interest and taxes (ebit) minus nonoperating income (nopi) divided by non-cash enterprise value (ceq++lt-che)                                                                                                                                                    |\n",
    "| rsup       | Kama                                | 2009, JBFA    | Sales from quarter t minus sales from quarter tt-4 (saleq) divided by fiscal-quarter-end market capitalization (cshoq * prccq)                                                                                                                                                          |\n",
    "| salecash   | Ou and Penman                       | 1989, JAE     | Annual sales divided by cash and cash equivalents                                                                                                                                                                                                                                       |\n",
    "| secured    | Valta                               | 2016, JFQA    | Total liability scaled secured debt                                                                                                                                                                                                                                                     |\n",
    "| sfe        | Elgers, Lo, and Pfeiffer            | 2001, TAR     | Analysts mean annual earnings forecast for nearest upcoming fiscal year from most recent month available prior to month of portfolio formation from I/B/E/S summary files scaled by price per share at fiscal quarter end                                                               |\n",
    "| sgr        | Lakonishok, Shleifer, and Vishny    | 1994, JF      | Annual percent change in sales (sale)                                                                                                                                                                                                                                                   |\n",
    "| sin        | Hong & Kacperczyk                   | 2009, JFE     | An indicator variable equal to 1 if a company’s primary industry classification is in smoke or tobacco, beer or alcohol, or gaming                                                                                                                                                      |\n",
    "| SP         | Barbee, Mukherji, and Raines        | 1996, FAJ     | Annual revenue (sale) divided by fiscal year-end market capitalization                                                                                                                                                                                                                  |\n",
    "| std_dolvol | Chordia, Subrahmanyam, and Anshuman | 2001, JFE     | Monthly standard deviation of daily dollar trading volume                                                                                                                                                                                                                               |\n",
    "| stdcf      | Huang                               | 2009, JEF     | Standard deviation for 16 quarters of cash flows divided by sales (saleq); if saleq== 0, then scale by 0.01. Cash flows defined as ibq minus quarterly accruals                                                                                                                         |\n",
    "| sue        | Rendelman, Jones, and Latane        | 1982, JFE     | Unexpected quarterly earnings divided by fiscal-quarter-end market cap. Unexpected earnings is I/B/E/S actual earnings minus median forecasted earnings if available, else it is the seasonally differenced quarterly earnings before extraordinary items from Compustat quarterly file |\n",
    "| tang       | Almeida and Campello                | 2007, RFS     | Cash holdings ++ 0.715 ×× receivables ++0.547 ×× inventory ++ 0.535 ×× PPE/ totl assets                                                                                                                                                                                                 |\n",
    "| tb         | Lev and Nissim                      | 2004, TAR     | Tax income, calculated from current tax expense divided by maximum federal tax rate, divided by income before extraordinary items                                                                                                                                                       |\n",
    "| turn       | Datar, Naik, and Radcliffe          | 1998, JFM     | Average monthly trading volume for most recent 3 months scaled by number of shares outstanding in current month                                                                                                                                                                         |\n",
    "| zerotrade  | Liu                                 | 2006, JFE     | Turnover weighted number of zero trading days for most recent 1 month                                                                                                                                                                                                                   |"
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